Package: cascsim 0.4

cascsim: Casualty Actuarial Society Individual Claim Simulator

It is an open source insurance claim simulation engine sponsored by the Casualty Actuarial Society. It generates individual insurance claims including open claims, reopened claims, incurred but not reported claims and future claims. It also includes claim data fitting functions to help set simulation assumptions. It is useful for claim level reserving analysis. Parodi (2013) <https://www.actuaries.org.uk/documents/triangle-free-reserving-non-traditional-framework-estimating-reserves-and-reserve-uncertainty>.

Authors:Robert Bear [aut], Kailan Shang [aut, cre], Hai You [aut], Brian Fannin [ctb]

cascsim_0.4.tar.gz
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cascsim.pdf |cascsim.html✨
cascsim/json (API)

# Install 'cascsim' in R:
install.packages('cascsim', repos = c('https://windwill.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.99 score 98 scripts 264 downloads 134 exports 18 dependencies

Last updated 5 years agofrom:8eddb5ccd1. Checks:OK: 7. Indexed: yes.

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Doc / VignettesOKNov 19 2024
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R-4.5-linuxOKNov 19 2024
R-4.4-winOKNov 19 2024
R-4.4-macOKNov 19 2024
R-4.3-winOKNov 19 2024
R-4.3-macOKNov 19 2024

Exports:CDFPlotclaimFittingclaimSampleclaimSimulationcopulaDataPlotcopulaFitcopulaFitPlotcopulaPlotcopulaSampledempiricalDensitydoPlotdoSampledparetodtbetadtempiricaldtexpdtgammadtgeomdtlnormdtnbinomdtnormdtparetodtpoisdtweibullexpectZerosfitPlotgetCopulagetIndexgetObservationgetTrendmparetonloglikobservationPlotPDFPlotpempiricalplotTextpparetoPPPlotProbabilityptbetaptempiricalptexpptgammaptgeomptlnormptnbinomptnormptparetoptpoisptweibullqempiricalqparetoQQPlotqtbetaqtempiricalqtexpqtgammaqtgeomqtlnormqtnbinomqtnormqtparetoqtpoisqtweibullQuantilerempiricalrparetorreopenrtbetartempiricalrtexprtgammartgeomrtlnormrtnbinomrtnormrtparetortpoisrtweibullsampleKurtosissampleMeansampleSdsampleSkewsetAnnualizedRate<-setCopulaParam<-setCopulaType<-setDevFacsetDf<-setDimension<-setDispstr<-setEmpirical<-setFacModel<-setFitdatasetfitmethod<-setFittedDist<-setfreq<-setFun<-setID<-setidate<-setifreq<-setIndexsetMarginal<-setMeanList<-setMinsetMonthlyIndex<-setObservation<-setParams<-setParas<-setprobs<-setRange<-setSeasonality<-setTabulate<-setTrend<-setTrialDist<-setTrialDistErr<-setTruncated<-setUpperKeepsetUpperTrianglesetVolList<-setXname<-setYearlyIndex<-shiftIndexsimP0simReportsimSummarysimTriangleTEKurtTMeantoDatetruncateTSDTSkewnessultiDevFac

Dependencies:ADGofTestcolorspacecopulafitdistrplusgsllatticeMASSMatrixmomentsmvtnormnumDerivpcaPPpsplineR2HTMLrlangscatterplot3dstabledistsurvival

cascsim

The Author

Rendered fromcascsim.Rmdusingknitr::rmarkdownon Nov 19 2024.

Last update: 2020-01-13
Started: 2019-06-04

Readme and manuals

Help Manual

Help pageTopics
Plotting the CDF of data and fitted distributionCDFPlot CDFPlot,ANY-method CDFPlot,FitDist-method
Chi-Squared TestChiSqrTest ChiSqrTest,ANY-method ChiSqrTest,FitDist-method
Sample Claim Dataclaimdata
Claim data fitting analysis at line/type/status levelclaimFitting claimFitting,ANY-method claimFitting,Simulation,data.frame-method
Claim simulation at line/type/status levelclaimSample claimSample,ANY-method claimSample,ClaimType-method
Claim simulation at line/type/status levelclaimSimulation claimSimulation,ANY-method claimSimulation,Simulation-method
An S4 class to represent a claim type.ClaimType-class
Experience data plotting.copulaDataPlot copulaDataPlot,ANY-method copulaDataPlot,CopulaObj-method
Copula fittingcopulaFit copulaFit,ANY-method copulaFit,CopulaObj-method
Visualization Copula fittingcopulaFitPlot copulaFitPlot,ANY-method copulaFitPlot,CopulaObj-method
An S4 class to represent a copula object to model the correlation.CopulaObj-class
Copula plotting. Only for 2 or 3 variablescopulaPlot copulaPlot,ANY-method copulaPlot,CopulaObj-method
Copula sampling. It will generate correlated variables or percentiles when marginal distributions are not specified.copulaSample copulaSample,ANY-method copulaSample,CopulaObj,numeric-method
Density function.Density Density,ANY-method Density,Beta-method Density,Empirical-method Density,Exponential-method Density,Gamma-method Density,Geometric-method Density,Lognormal-method Density,NegativeBinomial-method Density,Normal-method Density,Pareto-method Density,Poisson-method Density,Uniform-method Density,Weibull-method
An S4 class to represent a loss development schedule.DevFac-class
An S4 class to represent a distribution, either parametric or non-parametric.Distribution-class
Plot function.doPlot doPlot,ANY-method doPlot,Distribution-method
Sampling from the distribution.doSample doSample,ANY-method doSample,Beta,numeric-method doSample,Empirical,numeric-method doSample,Exponential,numeric-method doSample,Gamma,numeric-method doSample,Geometric,numeric-method doSample,Lognormal,numeric-method doSample,NegativeBinomial,numeric-method doSample,Normal,numeric-method doSample,Pareto,numeric-method doSample,Poisson,numeric-method doSample,Uniform,numeric-method doSample,Weibull,numeric-method
Density function of Truncated Beta Distributiondtbeta ptbeta qtbeta rtbeta
Density function of truncated empirical distributiondtempirical ptempirical qtempirical rtempirical
Density function of Truncated Exponential Distributiondtexp ptexp qtexp rtexp
Density function of Truncated Gamma Distributiondtgamma ptgamma qtgamma rtgamma
Density function of Truncated Geometric Distributiondtgeom ptgeom qtgeom rtgeom
Density function of Truncated Lognormal Distributiondtlnorm ptlnorm qtlnorm rtlnorm
Density function of Truncated Negative Binomial Distributiondtnbinom ptnbinom qtnbinom rtnbinom
Density function of Truncated Normal Distributiondtnorm ptnorm qtnorm rtnorm
Density function of Truncated Pareto Distributiondtpareto ptpareto qtpareto rtpareto
Density function of Truncated Poisson Distributiondtpois ptpois qtpois rtpois
Density function of Truncated Weibull Distributiondtweibull ptweibull qtweibull rtweibull
Get the expected P0 based on settlement/close year.expectZeros
An S4 class to represent distribution fitting.FitDist-class
Compare the raw data and fitted distribution on density, CDF, Q-Q plot and P-P plotfitPlot fitPlot,ANY-method fitPlot,FitDist-method
Get the R copula object.getCopula getCopula,ANY-method getCopula,CopulaObj-method
Retrieve index value based on dates.getIndex getIndex,ANY-method getIndex,Index-method
Get input data from an object.getObservation getObservation,ANY-method getObservation,FitDist-method
Get the trend index.getTrend getTrend,ANY-method getTrend,FitDist-method
An S4 class to represent a time index for frequency or severity distribution.Index-class
K-S TestKSTest KSTest,ANY-method KSTest,FitDist-method
Moment function of Pareto Distribution (PDF: alpha*xm^alpha/x^(alpha+1))dpareto mpareto ppareto qpareto rpareto
Negative Loglikelihood.nloglik
Plotting the data for distribution fittingobservationPlot observationPlot,ANY-method observationPlot,FitDist-method
Plotting the PDF of data and fitted distributionPDFPlot PDFPlot,ANY-method PDFPlot,FitDist-method
Cumulative probability function of empirical distribution using linear interpolationdempirical pempirical qempirical rempirical
Plot text contentplotText
P-P Plot of data and fitted distributionPPPlot PPPlot,ANY-method PPPlot,FitDist-method
Probability function.Probability Probability,ANY-method Probability,Beta-method Probability,Empirical-method Probability,Exponential-method Probability,Gamma-method Probability,Geometric-method Probability,Lognormal-method Probability,NegativeBinomial-method Probability,Normal-method Probability,Pareto-method Probability,Poisson-method Probability,Uniform-method Probability,Weibull-method
Q-Q Plot of data and fitted distributionQQPlot QQPlot,ANY-method QQPlot,FitDist-method
Quantile function.Quantile Quantile,ANY-method Quantile,Beta-method Quantile,Empirical-method Quantile,Exponential-method Quantile,Gamma-method Quantile,Geometric-method Quantile,Lognormal-method Quantile,NegativeBinomial-method Quantile,Normal-method Quantile,Pareto-method Quantile,Poisson-method Quantile,Uniform-method Quantile,Weibull-method
Simulate whether closed claims will be reopened or not.rreopen
Calculate the excess kurtosis of 10000 sampled values from the distribution.sampleKurtosis sampleKurtosis,ANY-method sampleKurtosis,Distribution-method
Calculate the mean of 100000 sampled values from the distribution.sampleMean sampleMean,ANY-method sampleMean,Distribution-method
Calculate the standard deviation of 10000 sampled values from the distribution.sampleSd sampleSd,ANY-method sampleSd,Distribution-method
Calculate the skewness of 10000 sampled values from the distribution.sampleSkew sampleSkew,ANY-method sampleSkew,Distribution-method
Set the annualized level rate to construct the index. Only used when tabulate == FALSE.setAnnualizedRate,ANY-method setAnnualizedRate<- setAnnualizedRate<-,Index,numeric-method
Set copula parameters.setCopulaParam,ANY-method setCopulaParam<- setCopulaParam<-,CopulaObj,numeric-method
Set copula type.setCopulaType,ANY-method setCopulaType<- setCopulaType<-,CopulaObj,character-method
Set up an IBNER loss development schedule.setDevFac setDevFac,ANY-method setDevFac,DevFac-method
Set the degree of freedom for t Copula.setDf,ANY-method setDf<- setDf<-,CopulaObj,numeric-method
Set the dimension of the copula.setDimension,ANY-method setDimension<- setDimension<-,CopulaObj,numeric-method
Set parameter matrix format of Elliptical copula.setDispstr,ANY-method setDispstr<- setDispstr<-,CopulaObj,character-method
Set the list of values and corresponding probabilities (Pr(X<value) for continuous variable and Pr(X==value) for discrete variable). It is only used for empirical distribution.setEmpirical,ANY-method setEmpirical<- setEmpirical<-,Distribution,matrix-method
Determine whether the development factor is determined by a predictive model or a fixed schedule by development yearsetFacModel,ANY-method setFacModel<- setFacModel<-,DevFac,logical-method
Preparing the input data (observation) for distribution fitting, including detrending, translating occurrence dates to frequency data, etc.setFitdata setFitdata,ANY-method setFitdata,FitDist-method
Set distribution fitting method.setfitmethod,ANY-method setfitmethod<- setfitmethod<-,FitDist,character-method
Directly set the fitted distribution without fitting it to the data.setFittedDist,ANY-method setFittedDist<- setFittedDist<-,FitDist,Distribution-method
Set the data frequency.setfreq,ANY-method setfreq<- setfreq<-,FitDist,character-method
Set the model format/link function (identity/inverse/log/exponential). Only used when FacModel == TRUE.setFun,ANY-method setFun<- setFun<-,DevFac,character-method
setID Set the ID for an objectsetID,ANY-method setID<- setID<-,DevFac,character-method setID<-,Index,character-method
Set whether occurrence dates will be used for frequency data.setidate,ANY-method setidate<- setidate<-,FitDist,logical-method
Set the data type: frequency or severity/time lag.setifreq,ANY-method setifreq<- setifreq<-,FitDist,logical-method
Set up a time index for frequency or severity.setIndex setIndex,ANY-method setIndex,Index-method
Set the marginal distributions of the copula.setMarginal,ANY-method setMarginal<- setMarginal<-,CopulaObj,list-method
Set the year-to-year loss development factor.setMeanList,ANY-method setMeanList<- setMeanList<-,DevFac,vector-method
Set the minimum of the distribution. For example, the distribution of settlement lag for open claimssetMin setMin,ANY-method setMin,Distribution-method
Set monthly index values.setMonthlyIndex,ANY-method setMonthlyIndex<- setMonthlyIndex<-,Index,vector-method
Input the raw data.setObservation,ANY-method setObservation<- setObservation<-,CopulaObj,matrix-method setObservation<-,FitDist,matrix-method
Set distribution parameters.setParams,ANY-method setParams<- setParams<-,Distribution,numeric-method
Set the values of model parameters.setParas,ANY-method setParas<- setParas<-,DevFac,vector-method
Set the percentiles to be matched. Only used when qme is chosen for fitting method.setprobs,ANY-method setprobs<- setprobs<-,FitDist,vector-method
Set the min and max of the variable.setRange,ANY-method setRange<- setRange<-,Distribution,numeric-method
Set up the rectangle based on simulated data.setRectangle setRectangle,ANY-method setRectangle,Triangle,data.frame-method
Set seasonality on a monthly basis.setSeasonality,ANY-method setSeasonality<- setSeasonality<-,Index,vector-method
Set the start date for the claim simulation exercisesetStartDate,ANY-method setStartDate<- setStartDate<-,Index,Date-method
Determine whether the index values are constructed from a constant rate or provided directlysetTabulate,ANY-method setTabulate<- setTabulate<-,Index,logical-method
Set the trend with an Index Object.setTrend,ANY-method setTrend<- setTrend<-,FitDist,Index-method
Distribution fitting and testing.setTrialDist,ANY-method setTrialDist<- setTrialDist<-,FitDist,Distribution-method
Distribution fitting and testing. Same as setTrialDist except for error tolerance.setTrialDistErr,ANY-method setTrialDistErr<- setTrialDistErr<-,FitDist,Distribution-method
Set the indicator of truncated distribution.setTruncated,ANY-method setTruncated<- setTruncated<-,Distribution,logical-method
Set up the upper triangle for non-simulated data.setUpperKeep setUpperKeep,ANY-method setUpperKeep,Triangle,data.frame-method
Set up the upper triangle based on claim data.setUpperTriangle setUpperTriangle,ANY-method setUpperTriangle,Triangle,data.frame-method
Set the year-to-year loss development factor volatility.setVolList,ANY-method setVolList<- setVolList<-,DevFac,vector-method
Set additional explanatory variable names.setXname,ANY-method setXname<- setXname<-,DevFac,vector-method
Set yearly index values.setYearlyIndex,ANY-method setYearlyIndex<- setYearlyIndex<-,Index,vector-method
Shift monthly index with a new start date and replace the unknown index value with zero.shiftIndex shiftIndex,ANY-method shiftIndex,Index-method
Simulate whether claims will have zero payment.simP0
Generate claim simulation result report in htmlsimReport simReport,ANY-method simReport,Simulation,data.frame-method
Claim simulation result summarysimSummary simSummary,ANY-method simSummary,Simulation,data.frame-method
Claim simulation result trianglessimTriangle simTriangle,ANY-method simTriangle,Simulation,data.frame,data.frame-method
An S4 class to represent a simulation task.Simulation-class
Calculate Theoretical Excessive Kurtosis of distribution. min and max are not appliedTEKurt TEKurt,ANY-method TEKurt,Beta-method TEKurt,Exponential-method TEKurt,Gamma-method TEKurt,Geometric-method TEKurt,Lognormal-method TEKurt,NegativeBinomial-method TEKurt,Normal-method TEKurt,Pareto-method TEKurt,Poisson-method TEKurt,Uniform-method TEKurt,Weibull-method
Calculate Theoretical Mean of distribution. min and max are not appliedTMean TMean,ANY-method TMean,Beta-method TMean,Exponential-method TMean,Gamma-method TMean,Geometric-method TMean,Lognormal-method TMean,NegativeBinomial-method TMean,Normal-method TMean,Pareto-method TMean,Poisson-method TMean,Uniform-method TMean,Weibull-method
Convert US date mm/dd/yyyy to yyyy-mm-dd formattoDate
An S4 class to represent a triangle or rectangle object.Triangle-class
Truncate a numeric vectortruncate
Calculate Theoretical Standard Deviation of distribution. min and max are not appliedTSD TSD,ANY-method TSD,Beta-method TSD,Exponential-method TSD,Gamma-method TSD,Geometric-method TSD,Lognormal-method TSD,NegativeBinomial-method TSD,Normal-method TSD,Pareto-method TSD,Poisson-method TSD,Uniform-method TSD,Weibull-method
Calculate Theoretical Skewness of distribution. min and max are not appliedTSkewness TSkewness,ANY-method TSkewness,Beta-method TSkewness,Exponential-method TSkewness,Gamma-method TSkewness,Geometric-method TSkewness,Lognormal-method TSkewness,NegativeBinomial-method TSkewness,Normal-method TSkewness,Pareto-method TSkewness,Poisson-method TSkewness,Uniform-method TSkewness,Weibull-method
Calculate ultimate development factor based on current development year, a mean development factor schedule and its volatility. It is used to simulate the ultimate loss for open claims.ultiDevFac